Performance Persistence of Spanish Pension Funds: The Best Winners and Losers Usually Repeat

Luis Ferruz (), Luis Vicente () and Laura Andreu ()
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Luis Ferruz: Finance and Accounting Department, Faculty of Business & Economics, University of Zaragoza, C/ Gran Vía 2, Zaragoza 50005, Spain.
Luis Vicente: Finance and Accounting Department, Faculty of Business & Economics, University of Zaragoza, C/ Gran Vía 2, Zaragoza 50005, Spain.
Laura Andreu: Finance and Accounting Department, Faculty of Business & Economics, University of Zaragoza, C/ Gran Vía 2, Zaragoza 50005, Spain.

The Geneva Papers on Risk and Insurance - Issues and Practice, 2007, vol. 32, issue 4, 583-594

Abstract: In this paper, we analyse the persistence phenomenon on the returns obtained by Spanish equity pension funds in the period 1999–2006, an unexplored topic in the Spanish financial market, one of the most emerging pension fund industries in the European Union. We provide evidence for a short-run persistence in some of the yearly periods analysed by using a contingency table approach. In this sense, we firstly apply 2 × 2 contingency tables to observe whether the best or worst managed funds repeat in this situation in consecutive years and to check the existence of this phenomenon for the whole investment period analysed. Then, the study improves the methodological approach by using 4 × 4 contingency tables, a research that leads us to interesting results confirming the findings obtained with the previous analysis and determining the pension funds that cause the persistence. On the other hand, this paper also examines the existence of long-run performance persistence obtaining worse results in general. More specifically, a minority of funds show a constant winning (losing) behaviour, presenting important (deficient) management skills. The Geneva Papers (2007) 32, 583–594. doi:10.1057/palgrave.gpp.2510146

Date: 2007
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